Quantitative Energy Finance

Fred Espen Benth holds a PhD in applied mathematics from the University of Oslo. After a few years in industrial consulting business at the Norwegian Computing Center, he continued with postdoc positions at the University of Aarhus and Oslo, before entering an associate professor position at NTNU-Trondheim. He is since 2003 a full professor in mathematics at the University of Oslo, with research interests in stochastic analysis, high-dimensional statistics, neural networks, energy markets, energy systems and finance. Fred Espen Benth is an elected member of the Norwegian Academy of Sciences and Letters.Almut E.D. Veraart studied mathematics and economics at the University of Ulm (Dipl.-math. and Dipl.-math. oec.) and applied statistics (MSc) at the University of Oxford. She then completed a DPhil (PhD) in statistics at the University of Oxford. Subsequently, she worked as a postdoctoral researcher and assistant professor at Aarhus University,before moving to Imperial College London, where she is now a Professor of Statistics. Her research interests lie in mathematical statistics with applications in finance, energy, environmental and climate sciences.

• Part I Modelling of Energy Prices.- Estimation of the Number of Factors in a Multi-Factorial Heath-Jarrow-Morton Model in Power Markets.- Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing.- Periodic Trawl Processes: Simulation, Statistical Inference and Applications in Energy Markets.- Part II Energy Transition.- Fuelling the Energy Transition: The Effect of German Wind and PV Electricity Infeed on TTF Gas Prices.- A Mean-Field Game Model of Electricity Market Dynamics.- PPA Investments of Minimal Variability.- Part III Climate Risk.- Climate Risk in Structural Credit Models.